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RE: st: RE: Panel Data Problem


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Panel Data Problem
Date   Tue, 6 Sep 2005 17:59:35 +0100

To add to my earlier comments, and 
as discussed just now in another 
thread, I don't see interpolation 
as necessarily amenable to general-purpose
imputation programs. 

Nick 
n.j.cox@durham.ac.uk 

Timothy.Mak@iop.kcl.ac.uk
 
> It's both an answer and a question. 
> 
> It's a question because I was surprised Dr Cox did not 
> include -mvis- as 
> an option. It's an answer because multiple imputation is a 
> common way of 
> dealing with missing values. Obviously applying it to a panel 
> data with so 
> many missing values will itself be a statistical challenge. 
 
Nick Cox
 
> Is that a question or an answer? 
> 
> I'll in turn give an answer that is 
> really a question. 
> 
> As one gets into more and more elaborate imputation 
> of missing data, what then is the status 
> of any model later fitted to the data? 
> 
> I am reminded of those stories of naive 
> students rediscovering the very relationships 
> used to fill in the gaps in scrappy data by 
> economists working for international organisations. 

Timothy Mak

> > What about -mvis- for multiple imputation? 
  
Nick Cox
  
> > You have a lot of missing data here. 
> > If -ipolate- helps little, it seems 
> > unlikely that any other method will 
> > help more. 
> > 
> > You might get marginal improvements 
> > by interpolating in log price, then 
> > exponentiating. That is, a zeroth 
> > approximation in most economies 
> > would be that prices are increasing 
> > multiplicatively. 
  
Mazhar Islam
  
> > > I have a panel data of daily price of a commodity in
> > > different locations of a city over 7 -year period.
> > > Unfortunately about 40 % data is missing from both
> > > right and left (dependent variable) side of the model.
> > > How should I go about it? I tried Stata's ipolate
> > > command to fill up the missing observations but did
> > > not help much. When I ran xtreg with random effect
> > > option (re) a number of records are dropped. I want to
> > > capture as many panels as I can. Any help is greatly
> > > appreciated. 

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